期货交易成本与市场微观结构不变性：识别投注活动

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-03-07 DOI:10.1002/fut.22496

Ai Jun Hou, Lars L. Nordén, Caihong Xu

{"title":"期货交易成本与市场微观结构不变性：识别投注活动","authors":"Ai Jun Hou, Lars L. Nordén, Caihong Xu","doi":"10.1002/fut.22496","DOIUrl":null,"url":null,"abstract":"<p>Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, but these variables are inherently difficult to identify. With futures transactions data, we estimate bet volume as the trading volume of brokerage firms that trade on behalf of their clients and bet volatility as the trade-related component of futures volatility. We find that the futures bid–ask spread lines up with bet volume and bet volatility as predicted by MMI, and that intermediation by high-frequency traders does not interfere with the MMI relation.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"901-922"},"PeriodicalIF":1.8000,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22496","citationCount":"0","resultStr":"{\"title\":\"Futures trading costs and market microstructure invariance: Identifying bet activity\",\"authors\":\"Ai Jun Hou, Lars L. Nordén, Caihong Xu\",\"doi\":\"10.1002/fut.22496\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, but these variables are inherently difficult to identify. With futures transactions data, we estimate bet volume as the trading volume of brokerage firms that trade on behalf of their clients and bet volatility as the trade-related component of futures volatility. We find that the futures bid–ask spread lines up with bet volume and bet volatility as predicted by MMI, and that intermediation by high-frequency traders does not interfere with the MMI relation.</p>\",\"PeriodicalId\":15863,\"journal\":{\"name\":\"Journal of Futures Markets\",\"volume\":\"44 6\",\"pages\":\"901-922\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2024-03-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22496\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Futures Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/fut.22496\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22496","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

市场微观结构不变性（MMI）规定，金融资产的交易成本受投注量和波动率的影响，但这些变量本身难以确定。利用期货交易数据，我们将投注量估算为代表客户进行交易的经纪公司的交易量，将投注波动率估算为期货波动率中与交易相关的部分。我们发现，正如 MMI 所预测的那样，期货买卖价差与投注量和投注波动性一致，而且高频交易者的中介作用不会干扰 MMI 关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Futures trading costs and market microstructure invariance: Identifying bet activity

查看原文本刊更多论文

Futures trading costs and market microstructure invariance: Identifying bet activity

Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, but these variables are inherently difficult to identify. With futures transactions data, we estimate bet volume as the trading volume of brokerage firms that trade on behalf of their clients and bet volatility as the trade-related component of futures volatility. We find that the futures bid–ask spread lines up with bet volume and bet volatility as predicted by MMI, and that intermediation by high-frequency traders does not interfere with the MMI relation.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.